| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22572 |
| 来源ID | Working Paper 22572 |
| Monetary Policy and Asset Valuation | |
| Francesco Bianchi; Martin Lettau; Sydney C. Ludvigson | |
| 发表日期 | 2016-08-25 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We document large, longer-term, joint regime shifts in asset valuations and the real federal funds rate-r* spread. To interpret these findings, we estimate a novel macro-finance model of monetary transmission and find that the documented regimes coincide with shifts in the parameters of a policy rule, with long-term consequences for the real interest rate. Estimates imply that two-thirds of the decline in the real interest rate since the early 1980s is attributable to regime changes in monetary policy. The model explains how infrequent changes in the monetary policy stance can generate persistent changes in asset valuations and the equity premium. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w22572 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580246 |
| 推荐引用方式 GB/T 7714 | Francesco Bianchi,Martin Lettau,Sydney C. Ludvigson. Monetary Policy and Asset Valuation. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22572.pdf（1162KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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